AQR Large Cap Defensive Style Fund

AUEIX
  • daily nav $23.54
  • change $0.17
  • daily return 0.73%
  • inception date 7/9/2012
  • AUM $5,617MM

As of December 06, 2019

  About the Fund

Investment Objective

Seeks total return.

A Lower Risk Equity Solution

The AQR Large Cap Defensive Style Fund pursues a defensive strategy that seeks to provide exposure to the U.S. market with lower risk through active stock selection, risk management and diversification.

 

Investment Approach

Many investors have become more focused on downside protection. Defensive Equity strategies seek to address this concern for stock market investors by focusing on stocks that have been more stable and less volatile, seeking to provide market-like returns with lower risk.

The investment universe for the Fund is comprised of U.S. equities, including large-cap and mid-cap companies included in the Russell 1000 Index. 

The Fund seeks to invest in stocks that exhibit low statistical risk (low volatility and low market beta 1 1 Close Beta is a measure of a stock’s sensitivity to movements of the overall stock market. ) and exhibit high-quality characteristics, such as stable earnings and high profit margins. These stocks generally are less volatile than the market average, and have the potential to produce higher risk-adjusted returns over a full market cycle than capitalization-weighted market indices. 

Why Invest in the Large Cap Defensive Style Fund?

Seeks Market-Like Returns with Lower Risk
The Large Cap Defensive Style Fund aims to deliver returns similar to its benchmark but with lower volatility. Low-risk stocks have performed similarly to riskier stocks over the long-term, suggesting that investors have not had to sacrifice significant returns when reducing risk in their portfolio.
Seeks to Outperform During Down Markets
The Fund can provide investors with an attractive risk profile when they may need it most: during market downturns. In this market condition, Defensive Equity is likely to experience negative returns, but tends to fare better than the broader market.
Exposure to High Quality Companies
The Fund commonly targets stocks of companies that have demonstrated strong fiscal health, exhibiting characteristics such as stable earnings, high profitability and low operating and financial leverage. Many of these stocks have exhibited less volatility than their equity market counterparts and have the potential to produce higher risk-adjusted returns over a full market cycle than broader market indices.
  Portfolio Characteristics

Sector Exposures

As of September 30, 2019

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Fund Benchmark Fund - Index
Communication Services 4.29% 9.83% -5.53%
Consumer Discretionary 11.34% 10.32% 1.01%
Consumer Staples 14.06% 7.01% 7.05%
Energy 2.45% 4.26% -1.81%
Financials 16.29% 13.20% 3.08%
Health Care 12.59% 13.34% -0.75%
Industrials 7.65% 9.69% -2.04%
Information Technology 14.91% 22.04% -7.13%
Materials 3.93% 2.83% 1.09%
Real Estate 0.06% 4.02% -3.97%
Utilities 12.44% 3.45% 8.99%
Total 100.00% 100.00% 0.00%

Top 10 Holdings

As of September 30, 2019

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% of Net Assets
PepsiCo 1.51%
Procter Gamble 1.49%
Alphabet 1.48%
Coca-Cola 1.46%
Mastercard 1.38%
Starbucks 1.35%
Microsoft 1.35%
Visa 1.34%
Mcdonald's Corp 1.32%
Nextera Energy 1.32%
Total 13.99%

Portfolio Statistics

As of September 30, 2019

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# of stocks 363
EPS Growth (5 Year) 12.29
P/B 3.53
P/E (trailing 12 months) 22.80
Debt/Equity 0.40
Median Market Cap ($MM) 20,268
Average Market Cap ($MM) 128,986
Predicted Beta 0.83
  Performance

Annualized Total Returns

As of November 30, 2019

MTD YTD 1YR 3YR 5YR Since Inception 7/9/2012 Gross Expense Ratio Net Expense Ratio*
AQR Large Cap Defensive Style Fund 2.35% 25.44% 15.78% 16.16% 12.85% 15.06% 0.39% 0.39%
Russell 1000 Total Return Index 3.78% 27.74% 16.10% 14.67% 10.80% 14.37%
AQR Large Cap Defensive Style Fund Russell 1000 Total Return Index
QTD 2.35 % 3.78 %
YTD 25.44 % 27.74 %
1YR 15.78 % 16.10 %
3YR 16.16 % 14.67 %
5YR 12.85 % 10.80 %
Since Inception 7/9/2012 15.06 % 14.37 %
Gross Expense Ratio 0.39%
Net Expense Ratio* 0.39%

As of September 30, 2019

QTD YTD 1YR 3YR 5YR Since Inception 7/9/2012 Gross Expense Ratio Net Expense Ratio*
AQR Large Cap Defensive Style Fund 2.93% 22.02% 9.59% 15.53% 13.92% 14.99% 0.39% 0.39%
Russell 1000 Total Return Index 1.42% 20.53% 3.87% 13.19% 10.62% 13.81%
AQR Large Cap Defensive Style Fund Russell 1000 Total Return Index
QTD 2.93 % 1.42 %
YTD 22.02 % 20.53 %
1YR 9.59 % 3.87 %
3YR 15.53 % 13.19 %
5YR 13.92 % 10.62 %
Since Inception 7/9/2012 14.99 % 13.81 %
Gross Expense Ratio 0.39%
Net Expense Ratio* 0.39%
  Managers

Andrea Frazzini

Principal

  • 14 years of experience
  • 11 years at AQR

Ph.D., Yale University

M.S., London School of Economics

B.S., University of Rome III

Jacques A. Friedman

Principal

  • 23 years of experience
  • 21 years at AQR

M.S., University of Washington

B.S., Brown University

Michele L. Aghassi

Principal

  • 21 years of experience
  • 14 years at AQR

Ph.D., Massachusetts Institute of Technology

B.S., Brown University

  Fees & Minimums

Investment Minimums

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Individual Investors $5 Million
Institutional Investors None
Accounts Offered by Financial Advisors None

Shareholder Fees

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Sales Load None
Deferred Sales Load None
Redemption Fees None

Annual Fund Operating Expenses

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Management Fee 0.25%
Distribution (12b-1) Fee None
Other Expenses  
     Dividends On Short Sales None
     All Other Expenses 0.14%
Acquired Fund Fees 0.00%
Gross Expenses 0.39%
Less: Fee Waivers and/or Expense Reimbursements 0.00%
Net Expenses* 0.39%
  Documents

Fund Literature

Fund Reporting

An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.

Information about how each Fund voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30 will be available no later than August 31. Please click here to view the most recent Form N-PX for the AQR Funds.

PRINCIPAL RISKS:
Past performance is no guarantee of future results. An investment in the Funds involves risk, including loss of principal.
Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The Adviser from time to time employs various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.

This Fund is not suitable for all investors. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.  

Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.

 

 

Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns shown are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.

Performance shown prior to a share class’s inception date reflects the historical performance of the Fund’s Class I shares, calculated using the fees and expenses of the Class N or Class R6 shares, respectively.

© AQR Funds are distributed by ALPS Distributors, Inc. AQR Capital Management, LLC is the Investment Manager of the Funds and a federally registered investment adviser. ALPS Distributors is not affiliated with AQR Capital Management. 

Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest. 

View definitions of benchmarks and other terms used here.

Diversification does not eliminate risk. Indexes are unmanaged and one cannot invest directly in an index.

The Adviser has contractually agreed to reimburse operating expenses of the Funds at least through January 28, 2020 for, Large Cap Defensive Style Fund, International Defensive Style Fund, Emerging Defensive Style Fund, Large Cap Momentum Style Fund, Small Cap Momentum Style Fund, International Momentum Style Fund, TM Large Cap Momentum Style Fund, TM Small Cap Momentum Style Fund, TM International Momentum Style Fund, Large Cap Multi-Style Fund, Small Cap Multi-Style Fund, International Multi-Style Fund, Emerging Multi-Style Fund, TM Large Cap Multi-Style Fund, TM Small Cap Multi-Style Fund, TM International Multi-Style Fund, TM Emerging Multi-Style Fund, Large Cap Relaxed Constraint Equity Fund, International Relaxed Constraint Equity Fund, Emerging Relaxed Constraint Equity Fund, Global Equity Fund, International Equity Fund, Core Plus Bond Fund and April 30, 2020 for Diversified Arbitrage Fund, Equity Market Neutral Fund, Global Macro Fund,  Long/Short Equity Fund, Managed Futures Strategy Fund, Managed Futures Strategy HV Fund, Multi-Strategy Alternative Fund, Risk-Balanced Commodities Strategy Fund, Style Premia Alternative Fund, Style Premia Alternative LV Fund, Volatility Risk, Premium Fund, Multi-Asset Fund, Risk Parity II HV Fund, Risk Parity II MV Fund. For additional details on annual fund operating expenses for each Fund, please see the underlying Funds’ prospectus.

The information provided herein (including any separate documents that may be accessed through this website) is not directed at any investor or category of investors and is provided solely as general information about our products and services and to otherwise provide general investment education. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of AQR Capital Management, LLC (“AQR Capital”) nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement investor, contact your financial advisor or other fiduciary unrelated to AQR about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances.

There are risks involved with investing including the possible loss of principal.
Past performance does not guarantee future results.
©2019 AQR Funds. All rights reserved.